Seasonal affective disorder and the Romanian stock market

Abstract

A large number of studies conducted in economic psychology, cognitive sciences and behavioural finances support the idea that economic actions are not a result of a rational utility maximising behaviour, but seem to be driven by other factors, such as personality traits, psychological factors, gender, age and genetic heritage. In this context, capital markets are sometimes non-efficient and an anomaly-based trading strategy could be used to enhance the returns, especially in the case of emergent markets. This article analyses the presence of the Seasonal Affective Disorder (SAD) effect on the Romanian stock market, in a time span that includes calm, growth periods and volatile periods as the one of the 2008 global financial crisis. The results support the existence of a correlation between the number of hours of daylight and market returns before and after the last financial crisis, even if the effect seems to change after the crisis.